Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0567
Annualized Std Dev 0.2297
Annualized Sharpe (Rf=0%) 0.2470

Row

Daily Return Statistics

Close
Observations 2904.0000
NAs 1.0000
Minimum -0.0929
Quartile 1 -0.0064
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0079
Maximum 0.0788
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0145
Skewness -0.4346
Kurtosis 5.1988

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0095
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.4258
Historical VaR (95%) -0.0224
Historical ES (95%) -0.0351
Modified VaR (95%) -0.0237
Modified ES (95%) -0.0437
From Trough To Depth Length To Trough Recovery
2014-06-09 2020-03-23 2020-11-20 -0.4258 1617 1447 170
2011-05-02 2011-09-23 2013-09-11 -0.3562 595 102 493
2010-04-21 2010-06-08 2010-09-20 -0.1956 106 34 72
2010-01-12 2010-02-05 2010-04-01 -0.1187 56 18 38
2010-11-05 2010-11-30 2011-01-03 -0.0961 40 17 23

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA -4.4 -3.3 -2.1 1.9 -2.6 -10.2
2010 2.3 1 1.9 0 0.5 -0.7 -1 5 0.9 -0.4 3.3 0.5 13.8
2011 2.2 -1.6 0.8 0.1 -2.4 1.4 -1.8 -1 -1.8 -4.6 -1.7 0.2 -9.9
2012 2.5 0.7 2.4 0.2 -3.3 5.7 -0.1 1.1 1.1 0.6 0.5 1.6 13.5
2013 2.5 0.2 -0.6 -0.8 -2.6 1.2 0.6 -1.6 1.4 -0.5 0.6 0.4 0.7
2014 -0.8 0.6 0.9 -0.7 0 0.7 -1.4 0.2 -0.8 0.1 0.1 -1.4 -2.6
2015 0 0.8 0.5 0.7 0 0.7 0.8 -2.6 0.2 0.7 0.8 -0.8 1.7
2016 -1 2.2 -0.3 -0.2 0.2 0.8 -1 0.5 0.8 -0.5 -0.2 0.3 1.5
2017 0.8 1.2 0.5 0.5 1 0.3 0.3 0.2 0.2 0 -0.4 0.2 4.9
2018 0.3 -1.1 1.3 -0.7 1.1 1.4 -0.7 -1 -0.5 1.2 0.3 2.1 3.6
2019 0.2 0.9 1 -1.2 -0.6 0.8 -0.9 0.3 -1.1 1.2 -0.6 -0.2 -0.4
2020 -0.4 -2.1 -5.1 -2.1 3.6 1.1 -2.1 -0.4 0.6 -0.7 1.7 -1.3 -7.3
2021 1.8 1.9 -0.1 NA NA NA NA NA NA NA NA NA 3.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2009-08-19  14.9 SPY    100.  0.0088  -0.0083   0.0459    0.104   -0.213   -0.231  -0.0915 GLD    92.5  5.10e-3  -0.0045
2 2009-08-20  15.2 SPY    101.  0.0103  -0.0057   0.0569    0.132   -0.208   -0.227  -0.0795 GLD    92.3 -2.80e-3  -0.0155
3 2009-08-21  16.1 SPY    103.  0.0196   0.0216   0.0544    0.157   -0.194   -0.209  -0.068  GLD    93.6  1.50e-2   0.007 
4 2009-08-24  15.6 SPY    103. -0.0001   0.0473   0.05      0.128   -0.206   -0.209  -0.0657 GLD    92.3 -1.40e-2   0.008 
5 2009-08-25  15.8 SPY    103.  0.0019   0.0411   0.0489    0.150   -0.188   -0.205  -0.0652 GLD    92.8  4.50e-3   0.0076
6 2009-08-26  15.7 SPY    103.  0.0001   0.0321   0.0539    0.135   -0.190   -0.204  -0.0714 GLD    92.8  3.00e-4   0.0028
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart